Running the identification command returns
[quote]Testing prior mean
All parameters are identified in the model (rank of H).
WARNING !!!
The rank of J (moments) is deficient!
[xi_rf,xi_b] are PAIRWISE collinear (with tol = 1.e-10) !
[rho_rf,rho_b] are PAIRWISE collinear (with tol = 1.e-10) !
[/quote]
You definitely need to fix this.
Also, your data does not seem to be mean 0, but your model variables are. Finally, do not use the HP filter for estimation. See [Small Question about Bayesian Est)